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Author: | Parisi, F. Acevedo, C. |
Title: | Volume and autocovariance in short-horizon stock returns: evidence from 1992 to 1998 in Chile |
Journal: | International Review of Financial Analysis
2001 : VOL. 10:3, p. 275-285 |
Index terms: | RETURN ON INVESTMENT TRADING CHILE |
Language: | eng |
Abstract: | This research investigates the relationship between volume and subsequent return patterns in individual securities' short-horizon returns. Using a variant of Lehmann's contrarian trading strategy, the authors found strong evidence of a relationship between trading activity and subsequent autocovariances in weekly returns. |
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